A recent security update (Security Update for Windows XP - KB896358) has modified the behavior of files you download from the Internet. In this case, the download in question is the Team Foundation Installation Guide .chm file.
After saving the file locally (for example, to your Desktop), try to open the file. You’ll see a message that looks like this:
To view the content in this file, click to clear the Always ask before opening this file check box, and then click Open.
Or, right-click the file, click Properties, and then on the General tab click Unblock.
I should've caught this when the Assistance Platform folks posted this.
And then there is this: After you install security update 896358, downloaded Compiled Help Module files cannot be opened.